Hostname: page-component-78c5997874-8bhkd Total loading time: 0 Render date: 2024-11-14T07:26:32.390Z Has data issue: false hasContentIssue false

Global Asset Liability Management. Abstract of the Discussion

Published online by Cambridge University Press:  10 June 2011

Abstract

Image of the first page of this content. For PDF version, please use the ‘Save PDF’ preceeding this image.'
Type
Sessional meetings: papers and abstracts of discussions
Copyright
Copyright © Institute and Faculty of Actuaries 2003

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Reference

Longstaff, F.A. & Schwartz, E.S. (2001). Valuing American options by simulation: a simple least-squares approach. Review of Financial Studies, 14(1), 113147.CrossRefGoogle Scholar

Reference

von Neumann, J.R. & Morgenstern, O. (1947). Theory of games and economic behaviour. Princeton University Press.Google Scholar

Reference

Blake, D. & Burrows, W. (2001). Survivor bonds: helping to hedge mortality risk, Journal of Risk Insurance, 68, 339348.CrossRefGoogle Scholar
Blake, D., Cairns, A.J.G. & Dowd, K. (2001). PensionMetrics: stochastic pension plan design and value-at-risk during the accumulation phase, Insurance: Mathematics and Economics, 29, 187215.Google Scholar
Blake, D., Cairns, A.J.G. & Dowd, K. (2002). PensionMetrics 2: stochastic pension plan design during the decumulation phase. Pensions Institute discussion paper PI-0103, Birkbeck College London. (www.pensions-institute.org/wp/wp0103.pdf)Google Scholar

Reference

Brealey, R. & Myers, S. (2001). Principles of corporate finance, 6th edition. McGraw Hill Education.Google Scholar
Lowenstein, R. (2002). When genius failed (Long Term Capital Management). Fourth Estate.Google Scholar